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Generalized load graphical forecasting method based on modal decomposition
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作者 Lizhen Wu Peixin Chang +1 位作者 Wei Chen Tingting Pei 《Global Energy Interconnection》 EI CSCD 2024年第2期166-178,共13页
In a“low-carbon”context,the power load is affected by the coupling of multiple factors,which gradually evolves from the traditional“pure load”to the generalized load with the dual characteristics of“load+power su... In a“low-carbon”context,the power load is affected by the coupling of multiple factors,which gradually evolves from the traditional“pure load”to the generalized load with the dual characteristics of“load+power supply.”Traditional time-series forecasting methods are no longer suitable owing to the complexity and uncertainty associated with generalized loads.From the perspective of image processing,this study proposes a graphical short-term prediction method for generalized loads based on modal decomposition.First,the datasets are normalized and feature-filtered by comparing the results of Xtreme gradient boosting,gradient boosted decision tree,and random forest algorithms.Subsequently,the generalized load data are decomposed into three sets of modalities by modal decomposition,and red,green,and blue(RGB)images are generated using them as the pixel values of the R,G,and B channels.The generated images are diversified,and an optimized DenseNet neural network was used for training and prediction.Finally,the base load,wind power,and photovoltaic power generation data are selected,and the characteristic curves of the generalized load scenarios under different permeabilities of wind power and photovoltaic power generation are obtained using the density-based spatial clustering of applications with noise algorithm.Based on the proposed graphical forecasting method,the feasibility of the generalized load graphical forecasting method is verified by comparing it with the traditional time-series forecasting method. 展开更多
关键词 Load forecasting generalized load Image processing DenseNet Modal decomposition
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Optimization of Generator Based on Gaussian Process Regression Model with Conditional Likelihood Lower Bound Search
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作者 Xiao Liu Pingting Lin +2 位作者 Fan Bu Shaoling Zhuang Shoudao Huang 《CES Transactions on Electrical Machines and Systems》 EI CSCD 2024年第1期32-42,共11页
The noise that comes from finite element simulation often causes the model to fall into the local optimal solution and over fitting during optimization of generator.Thus,this paper proposes a Gaussian Process Regressi... The noise that comes from finite element simulation often causes the model to fall into the local optimal solution and over fitting during optimization of generator.Thus,this paper proposes a Gaussian Process Regression(GPR)model based on Conditional Likelihood Lower Bound Search(CLLBS)to optimize the design of the generator,which can filter the noise in the data and search for global optimization by combining the Conditional Likelihood Lower Bound Search method.Taking the efficiency optimization of 15 kW Permanent Magnet Synchronous Motor as an example.Firstly,this method uses the elementary effect analysis to choose the sensitive variables,combining the evolutionary algorithm to design the super Latin cube sampling plan;Then the generator-converter system is simulated by establishing a co-simulation platform to obtain data.A Gaussian process regression model combing the method of the conditional likelihood lower bound search is established,which combined the chi-square test to optimize the accuracy of the model globally.Secondly,after the model reaches the accuracy,the Pareto frontier is obtained through the NSGA-II algorithm by considering the maximum output torque as a constraint.Last,the constrained optimization is transformed into an unconstrained optimizing problem by introducing maximum constrained improvement expectation(CEI)optimization method based on the re-interpolation model,which cross-validated the optimization results of the Gaussian process regression model.The above method increase the efficiency of generator by 0.76%and 0.5%respectively;And this method can be used for rapid modeling and multi-objective optimization of generator systems. 展开更多
关键词 generator optimization Gaussian process Regression(GPR) Conditional Likelihood Lower Bound Search(CLLBS) Constraint improvement expectation(CEI) Finite element calculation
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Generativity of Self-Organizing Processes and Their Correlative Description in Terms of a Formal Language of Meta-Ordinal Generative Nature, in the Light of the Maximum Ordinality Principle and the Explicit Solution to the “Three-Body Problem”
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作者 Corrado Giannantoni 《Journal of Applied Mathematics and Physics》 2023年第10期3159-3202,共44页
The main objective of this paper is to demonstrate that the internal processes of Self-Organizing Systems represent a unique and singular process, characterized by their specific generativity. This process can be mode... The main objective of this paper is to demonstrate that the internal processes of Self-Organizing Systems represent a unique and singular process, characterized by their specific generativity. This process can be modeled using the Maximum Ordinality Principle and its associated formal language, known as the “Incipient” Differential Calculus (IDC). 展开更多
关键词 Maximum Ordinality Principle Solution to the “Three-Body Problem” generativity of Self-Organizing processes Formal Language of Ordinal generativity Formal Language of Meta-Ordinal generativity
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Evaluating Traffic Congestion Using the Traffic Occupancy and Speed Distribution Relationship: An Application of Bayesian Dirichlet Process Mixtures of Generalized Linear Model 被引量:1
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作者 Emmanuel Kidando Ren Moses +1 位作者 Eren E. Ozguven Thobias Sando 《Journal of Transportation Technologies》 2017年第3期318-335,共18页
Accurate classification and prediction of future traffic conditions are essential for developing effective strategies for congestion mitigation on the highway systems. Speed distribution is one of the traffic stream p... Accurate classification and prediction of future traffic conditions are essential for developing effective strategies for congestion mitigation on the highway systems. Speed distribution is one of the traffic stream parameters, which has been used to quantify the traffic conditions. Previous studies have shown that multi-modal probability distribution of speeds gives excellent results when simultaneously evaluating congested and free-flow traffic conditions. However, most of these previous analytical studies do not incorporate the influencing factors in characterizing these conditions. This study evaluates the impact of traffic occupancy on the multi-state speed distribution using the Bayesian Dirichlet Process Mixtures of Generalized Linear Models (DPM-GLM). Further, the study estimates the speed cut-point values of traffic states, which separate them into homogeneous groups using Bayesian change-point detection (BCD) technique. The study used 2015 archived one-year traffic data collected on Florida’s Interstate 295 freeway corridor. Information criteria results revealed three traffic states, which were identified as free-flow, transitional flow condition (congestion onset/offset), and the congested condition. The findings of the DPM-GLM indicated that in all estimated states, the traffic speed decreases when traffic occupancy increases. Comparison of the influence of traffic occupancy between traffic states showed that traffic occupancy has more impact on the free-flow and the congested state than on the transitional flow condition. With respect to estimating the threshold speed value, the results of the BCD model revealed promising findings in characterizing levels of traffic congestion. 展开更多
关键词 TRAFFIC Congestion Multistate SPEED DISTRIBUTION TRAFFIC OCCUPANCY Dirichlet process Mixtures of generalized Linear Model BAYESIAN CHANGE-POINT Detection
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Proportion integral-type active disturbance rejection generalized predictive control for distillation process based on grey wolf optimization parameter tuning 被引量:1
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作者 Jia Ren Zengqiang Chen +2 位作者 Mingwei Sun Qinglin Sun Zenghui Wang 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2022年第9期234-244,共11页
The high-purity distillation column system is strongly nonlinear and coupled,which makes it difficult to control.Active disturbance rejection control(ADRC)has been widely used in distillation systems,but it has limita... The high-purity distillation column system is strongly nonlinear and coupled,which makes it difficult to control.Active disturbance rejection control(ADRC)has been widely used in distillation systems,but it has limitations in controlling distillation systems with large time delays since ADRC employs ESO and feedback control law to estimate the total disturbance of the system without considering the large time delays.This paper designs a proportion integral-type active disturbance rejection generalized predictive control(PI-ADRGPC)algorithm to control the distillation column system with large time delay.It replaces the PD controller in ADRC with a proportion integral-type generalized predictive control(PI-GPC),thereby improving the performance of control systems with large time delays.Since the proposed controller has many parameters and is difficult to tune,this paper proposes to use the grey wolf optimization(GWO)to tune these parameters,whose structure can also be used by other intelligent optimization algorithms.The performance of GWO tuned PI-ADRGPC is compared with the control performance of GWO tuned ADRC method,multi-verse optimizer(MVO)tuned PI-ADRGPC and MVO tuned ADRC.The simulation results show that the proposed strategy can track reference well and has a good disturbance rejection performance. 展开更多
关键词 Proportion integral-type active disturbance rejection generalized predictive control Grey wolf optimization Parameter tuning DISTILLATION process control PREDICTION
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Cloud-Edge Collaborative Federated GAN Based Data Processing for IoT-Empowered Multi-Flow Integrated Energy Aggregation Dispatch
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作者 Zhan Shi 《Computers, Materials & Continua》 SCIE EI 2024年第7期973-994,共22页
The convergence of Internet of Things(IoT),5G,and cloud collaboration offers tailored solutions to the rigorous demands of multi-flow integrated energy aggregation dispatch data processing.While generative adversarial... The convergence of Internet of Things(IoT),5G,and cloud collaboration offers tailored solutions to the rigorous demands of multi-flow integrated energy aggregation dispatch data processing.While generative adversarial networks(GANs)are instrumental in resource scheduling,their application in this domain is impeded by challenges such as convergence speed,inferior optimality searching capability,and the inability to learn from failed decision making feedbacks.Therefore,a cloud-edge collaborative federated GAN-based communication and computing resource scheduling algorithm with long-term constraint violation sensitiveness is proposed to address these challenges.The proposed algorithm facilitates real-time,energy-efficient data processing by optimizing transmission power control,data migration,and computing resource allocation.It employs federated learning for global parameter aggregation to enhance GAN parameter updating and dynamically adjusts GAN learning rates and global aggregation weights based on energy consumption constraint violations.Simulation results indicate that the proposed algorithm effectively reduces data processing latency,energy consumption,and convergence time. 展开更多
关键词 IOT federated learning generative adversarial network data processing multi-flowintegration energy aggregation dispatch
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Unlocking the Potential:A Comprehensive Systematic Review of ChatGPT in Natural Language Processing Tasks
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作者 Ebtesam Ahmad Alomari 《Computer Modeling in Engineering & Sciences》 SCIE EI 2024年第10期43-85,共43页
As Natural Language Processing(NLP)continues to advance,driven by the emergence of sophisticated large language models such as ChatGPT,there has been a notable growth in research activity.This rapid uptake reflects in... As Natural Language Processing(NLP)continues to advance,driven by the emergence of sophisticated large language models such as ChatGPT,there has been a notable growth in research activity.This rapid uptake reflects increasing interest in the field and induces critical inquiries into ChatGPT’s applicability in the NLP domain.This review paper systematically investigates the role of ChatGPT in diverse NLP tasks,including information extraction,Name Entity Recognition(NER),event extraction,relation extraction,Part of Speech(PoS)tagging,text classification,sentiment analysis,emotion recognition and text annotation.The novelty of this work lies in its comprehensive analysis of the existing literature,addressing a critical gap in understanding ChatGPT’s adaptability,limitations,and optimal application.In this paper,we employed a systematic stepwise approach following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses(PRISMA)framework to direct our search process and seek relevant studies.Our review reveals ChatGPT’s significant potential in enhancing various NLP tasks.Its adaptability in information extraction tasks,sentiment analysis,and text classification showcases its ability to comprehend diverse contexts and extract meaningful details.Additionally,ChatGPT’s flexibility in annotation tasks reducesmanual efforts and accelerates the annotation process,making it a valuable asset in NLP development and research.Furthermore,GPT-4 and prompt engineering emerge as a complementary mechanism,empowering users to guide the model and enhance overall accuracy.Despite its promising potential,challenges persist.The performance of ChatGP Tneeds tobe testedusingmore extensivedatasets anddiversedata structures.Subsequently,its limitations in handling domain-specific language and the need for fine-tuning in specific applications highlight the importance of further investigations to address these issues. 展开更多
关键词 generative AI large languagemodel(LLM) natural language processing(NLP) ChatGPT GPT(generative pretraining transformer) GPT-4 sentiment analysis NER information extraction ANNOTATION text classification
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New Algorithm Model for Processing GeneralizedDynamic Nonlinear Data Derived from Deformation Monitoring Network
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作者 LINXiangguo LIANGYong 《Geo-Spatial Information Science》 2005年第2期133-137,共5页
The processing of nonlinear data was one of hot topics in surveying and mapping field in recent years. As a result, many linear methods and nonlinear methods have been developed. But the methods for processing general... The processing of nonlinear data was one of hot topics in surveying and mapping field in recent years. As a result, many linear methods and nonlinear methods have been developed. But the methods for processing generalized nonlinear surveying and mapping data, especially for different data types and including unknown parameters with random or nonrandom, are seldom noticed. A new algorithm model is presented in this paper for processing nonlinear dynamic multiple-period and multiple-accuracy data derived from deformation monitoring network. 展开更多
关键词 deformation monitoring generalized nonlinear data processing Marquardtmethod parameter estimate
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Iterative Processes with Errors for Generalized Set-Valued φ-Hemi-contractive Mapping in Banach Spaces
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作者 张勇 《Journal of Southwest Jiaotong University(English Edition)》 2006年第2期194-199,共6页
A new conception of generalized set-valued Ф-hemi-contractive mapping in Banach spaces is presented. Some strong convergence theorems of Ishikawa and Mann iterative approximation with errors is proved. The results in... A new conception of generalized set-valued Ф-hemi-contractive mapping in Banach spaces is presented. Some strong convergence theorems of Ishikawa and Mann iterative approximation with errors is proved. The results in this paper improve and extend the earlier results. 展开更多
关键词 generalized set-valued Ф-hemi-contractive mapping Ishikawa and Mann iterative processes with errors q-uniformlysmooth Banach space Hausdorff metric generalized duality mapping
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A generalized geometric process based repairable system model with bivariate policy
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作者 MA Ning YE Jimin WANG Junyuan 《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2021年第3期631-641,共11页
The maintenance model of simple repairable system is studied.We assume that there are two types of failure,namely type Ⅰ failure(repairable failure)and type Ⅱ failure(irrepairable failure).As long as the type Ⅰ fai... The maintenance model of simple repairable system is studied.We assume that there are two types of failure,namely type Ⅰ failure(repairable failure)and type Ⅱ failure(irrepairable failure).As long as the type Ⅰ failure occurs,the system will be repaired immediately,which is failure repair(FR).Between the(n-1)th and the nth FR,the system is supposed to be preventively repaired(PR)as the consecutive working time of the system reaches λ^(n-1) T,where λ and T are specified values.Further,we assume that the system will go on working when the repair is finished and will be replaced at the occurrence of the Nth type Ⅰ failure or the occurrence of the first type Ⅱ failure,whichever occurs first.In practice,the system will degrade with the increasing number of repairs.That is,the consecutive working time of the system forms a decreasing generalized geometric process(GGP)whereas the successive repair time forms an increasing GGP.A simple bivariate policy(T,N)repairable model is introduced based on GGP.The alternative searching method is used to minimize the cost rate function C(N,T),and the optimal(T,N)^(*) is obtained.Finally,numerical cases are applied to demonstrate the reasonability of this model. 展开更多
关键词 renewal reward theorem generalized geometric process(GGP) average cost rate optimal policy replacement
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ON CONVERGENCE OF A GENERALIZED P AL INTERPOLATION PROCESS
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作者 T. F. Xie (China Institute of Metrologe, China) 《Analysis in Theory and Applications》 1999年第4期15-22,共8页
Let f∈C[-1,1]and R. (r≥1 ) be the reneralized Pal iner polation polynomials satisf ying the conditions Rn, where{xk} are the roots of n-th Jacobi polynomial Pn and are the roots of In this paper,we prove that Rn... Let f∈C[-1,1]and R. (r≥1 ) be the reneralized Pal iner polation polynomials satisf ying the conditions Rn, where{xk} are the roots of n-th Jacobi polynomial Pn and are the roots of In this paper,we prove that Rn holds uniformly on [0,1]. 展开更多
关键词 Math AL ON CONVERGENCE OF A generalized P AL INTERPOLATION process
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Fetal MRI Artifacts: Semi-Supervised Generative Adversarial Neural Network for Motion Artifacts Reducing in Fetal Magnetic Resonance Images
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作者 Ítalo Messias Félix Santos Gilson Antonio Giraldi +1 位作者 Heron Werner Junior Bruno Richard Schulze 《Journal of Computer and Communications》 2024年第6期210-225,共16页
This study addresses challenges in fetal magnetic resonance imaging (MRI) related to motion artifacts, maternal respiration, and hardware limitations. To enhance MRI quality, we employ deep learning techniques, specif... This study addresses challenges in fetal magnetic resonance imaging (MRI) related to motion artifacts, maternal respiration, and hardware limitations. To enhance MRI quality, we employ deep learning techniques, specifically utilizing Cycle GAN. Synthetic pairs of images, simulating artifacts in fetal MRI, are generated to train the model. Our primary contribution is the use of Cycle GAN for fetal MRI restoration, augmented by artificially corrupted data. We compare three approaches (supervised Cycle GAN, Pix2Pix, and Mobile Unet) for artifact removal. Experimental results demonstrate that the proposed supervised Cycle GAN effectively removes artifacts while preserving image details, as validated through Structural Similarity Index Measure (SSIM) and normalized Mean Absolute Error (MAE). The method proves comparable to alternatives but avoids the generation of spurious regions, which is crucial for medical accuracy. 展开更多
关键词 Fetal MRI Artifacts Removal Deep Learning Image processing generative Adversarial Networks
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Efficiency of Some Estimators for a Generalized Poisson Autoregressive Process of Order 1
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作者 Louis G. Doray Andrew Luong El-Halla Najem 《Open Journal of Statistics》 2016年第4期637-650,共14页
Various models have been proposed in the literature to study non-negative integer-valued time series. In this paper, we study estimators for the generalized Poisson autoregressive process of order 1, a model developed... Various models have been proposed in the literature to study non-negative integer-valued time series. In this paper, we study estimators for the generalized Poisson autoregressive process of order 1, a model developed by Alzaid and Al-Osh [1]. We compare three estimation methods, the methods of moments, quasi-likelihood and conditional maximum likelihood and study their asymptotic properties. To compare the bias of the estimators in small samples, we perform a simulation study for various parameter values. Using the theory of estimating equations, we obtain expressions for the variance-covariance matrices of those three estimators, and we compare their asymptotic efficiency. Finally, we apply the methods derived in the paper to a real time series. 展开更多
关键词 Discrete Time Series Autoregressive process Moment Estimator QUASI-LIKELIHOOD EFFICIENCY generalized Poisson Quasi Binomial Distribution
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Integral Operator Solving Process of the Boundary Value Problem of Abstract Kinetic Equation with the First Kind of Critical Parameter and Generalized Periodic Boundary Conditions
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作者 YU De-jian 《Chinese Quarterly Journal of Mathematics》 CSCD 2010年第1期110-117,共8页
In this paper the concepts of the boundary value problem of abstract kinetic equation with the first kind of critical parameter γ 0 and generalized periodic boundary conditions are introduced in a Lebesgue space whic... In this paper the concepts of the boundary value problem of abstract kinetic equation with the first kind of critical parameter γ 0 and generalized periodic boundary conditions are introduced in a Lebesgue space which consists of functions with vector valued in a general Banach space, and then describe the solution of these abstract boundary value problem by the abstract linear integral operator of Volterra type. We call this process the integral operator solving process. 展开更多
关键词 abstract kinetic equation with the first kind of critical parameter boundary value problem of abstract kinetic equation generalized periodic boundary conditions abstract linear integral operator of Volterra type integral operator solving process
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PARALLEL REGION PRESERVING MULTISECTION METHOD FOR SOLVING GENERALIZED EIGENPROBLEM 被引量:1
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作者 曾岚 周树荃 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 1996年第2期51+46-50,共6页
The parallel multisection method for solving algebraic eigenproblem has been presented in recent years with the development of the parallel computers, but all the research work is limited in standard eigenproblems of ... The parallel multisection method for solving algebraic eigenproblem has been presented in recent years with the development of the parallel computers, but all the research work is limited in standard eigenproblems of symmetric tridiagonal matrix. The multisection method for solving the generalized eigenproblem applied significantly in many science and engineering domains has not been studied. The parallel region preserving multisection method (PRM for short) for solving generalized eigenproblems of large sparse and real symmetric matrix is presented in this paper. This method not only retains the advantages of the conventional determinant search method (DS for short), but also overcomes its disadvantages such as leaking roots and disconvergence. We have tested the method on the YH 1 vector computer, and compared it with the parallel region preserving determinant search method the parallel region preserving bisection method (PRB for short). The numerical results show that PRM has a higher speed up, for instance, it attains the speed up of 7.7 when the scale of the problem is 2 114 and the eigenpair found is 3, and PRM is superior to PRB when the scale of the problem is large. 展开更多
关键词 parallel processing structural analysis numerical algebra generalized eigenproblem parallel multisection method
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GENERALIZED SIMULATION MODEL FOR MILLED SURFACE TOPOGRAPHY-APPLICATION TO PERIPHERAL MILLING 被引量:2
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作者 Xu Anping Qu Yunxia Li Weimin School of Mechanical Engineering, Hebei University of Technology Zhang Dawei Huang Tian Tianjin University 《Chinese Journal of Mechanical Engineering》 SCIE EI CAS CSCD 2001年第2期121-126,共6页
Based on analyzing various factors influencing milled surface topography, firstly, a generalized model for milled surface topography is proposed. Secondly, using the principles of transformation matrix and vector oper... Based on analyzing various factors influencing milled surface topography, firstly, a generalized model for milled surface topography is proposed. Secondly, using the principles of transformation matrix and vector operation, the trajectory equation of cutting edge relative to workpiece is derived. Then, a three dimensional topography simulation algorithm is constructed through dividing the workpiece into regular grids. Finally, taking the peripheral milling process as an example, the generalized model is simplified, and the corresponding simulation examples are given. The results indicate that it is very efficient for the generalized model to be used to analyze and simulate the peripherally milled surface topography. 展开更多
关键词 generalized simulation model Arbitrary contour mill Peripheral milling process Surface topography
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基于Processing的何香凝艺术参与式创新转化应用研究
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作者 凌杰 《湖南包装》 2023年第6期33-36,43,共5页
以何香凝艺术为对象,分析了其在创造性转化中存在的问题。通过研究运用Processing技术和参与式设计对创造性转化的潜力,发现Processing技术和参与式设计相互协作,可以成为何香凝艺术发展的双重推动力。基于这一发现,提出了一种基于Proce... 以何香凝艺术为对象,分析了其在创造性转化中存在的问题。通过研究运用Processing技术和参与式设计对创造性转化的潜力,发现Processing技术和参与式设计相互协作,可以成为何香凝艺术发展的双重推动力。基于这一发现,提出了一种基于Processing的何香凝艺术参与式创新转化应用策略,旨在促进何香凝艺术的创新转化。该策略将Processing技术与参与式设计相结合,提供了一种新的途径,以增加公众对何香凝艺术的参与度和认知度,进而推动其在当代社会中的发展和扩大影响力。 展开更多
关键词 参与式设计 生成艺术 何香凝 创新性转化 processING
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Exponential stability of stochastic generalized porous media equations with jump 被引量:1
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作者 郭柏灵 周国立 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2014年第8期1067-1078,共12页
Stochastic generalized porous media equation with jump is considered. The aim is to show the moment exponential stability and the almost certain exponential stability of the stochastic equation.
关键词 stochastic generalized porous media equation jump process stability
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Synthesis of refrigeration system based on generalized disjunctive programming model 被引量:1
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作者 Danlei Chen Xue Ma +2 位作者 Yiqing Luo Yingjie Ma Xigang Yuan 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2018年第8期1613-1620,共8页
Refrigeration system holds an important role in process industries. The optimal synthesis cannot only reduce the energy consumption, but also save the production costs. In this study, a general methodology is develope... Refrigeration system holds an important role in process industries. The optimal synthesis cannot only reduce the energy consumption, but also save the production costs. In this study, a general methodology is developed for the optimal design of refrigeration cycle and heat exchanger network(HEN) simultaneously. Taking the heat integration between the external heat sources/sinks and the refrigeration cycle into consideration, a superstructure with sub-coolers is developed. Through defining logical variables that indicate the relative temperature positions of refrigerant streams after sub-coolers, the synthesis is formulated as a Generalized Disjunctive Programming(GDP) problem based on LP transshipment model, with the target of minimizing the total compressor shaft work in the refrigeration system. The GDP model is then reformulated as a Mixed Integer Nonlinear Programming(MINLP) problem with the aid of binary variables and Big-M Constraint Method. The efficacy of the process synthesis model is demonstrated by a case study of ethylene refrigeration system. The result shows that the optimization can significantly reduce the exergy loss as well as the total compression shaft work. 展开更多
关键词 Refrigeration system process synthesis generalized Disjunctive Programming (GDP) Mixed Integer Nonlinear Programming (MINLP)
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ARMA–GARCH model with fractional generalized hyperbolic innovations 被引量:1
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作者 Sung Ik Kim 《Financial Innovation》 2022年第1期1407-1431,共25页
In this study,a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail,volatility clustering,and long-range dependence properties is introduced.To define the fractional g... In this study,a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail,volatility clustering,and long-range dependence properties is introduced.To define the fractional generalized hyperbolic process,the non-fractional variant is derived by subordinating time-changed Brownian motion to the generalized inverse Gaussian process,and thereafter,the fractional generalized hyperbolic process is obtained using the Volterra kernel.Based on the ARMA–GARCH model with standard normal innovations,the parameters are estimated for the high-frequency returns of six U.S.stocks.Subsequently,the residuals extracted from the estimated ARMA–GARCH parameters are fitted to the fractional and non-fractional generalized hyperbolic processes.The results show that the fractional generalized hyperbolic process performs better in describing the behavior of the residual process of high-frequency returns than the non-fractional processes considered in this study. 展开更多
关键词 generalized hyperbolic process Time-changed Brownian motion Long-range dependence Fractional Brownian motion ARMA-GARCH model
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